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As @BrockAdams said, the string is compressed and need to be uncompress depending on the $request->headers.
$request = drupal_http_request('https://api.stackexchange.com/2.2/users?order=desc&sort=reputation&site=stackoverflow');
if (isset($request->headers['content-encoding'])) {
if ($request->headers['content-encoding'] == 'gzip') {
...